Stochastic maximum principle for optimal control problem under G-expectation utility

DOI10.1515/ROSE-2022-2076zbMath1492.60143OpenAlexW4281653851WikidataQ114052704 ScholiaQ114052704MaRDI QIDQ2671497

Adel Chala, Meriyam Dassa

Publication date: 3 June 2022

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2022-2076

zbMATH Keywords

G-Brownian motionsublinear expectationG-stochastic differential equationG-stochastic maximum principle

Mathematics Subject Classification ID

Optimality conditions for minimax problems (49K35) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Related Items (1)

\(G\)-stochastic maximum principle for risk-sensitive control problem and its applications

Cites Work

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